An Alternative, Executable Quantitative System for Dynamic Futures Markets
Price retraces from Previous Day Range to VWAP zone + Volume Spike (>1.8× 20-period MA) + Heikin Ashi pulse alignment. Multi-timeframe confirmation recommended.
Stop Loss placed 1.5× ATR beyond recent swing or Previous Day Range boundary. Daily opportunity limit: 2–3. Risk per opportunity ≤ 1.5% of capital.
Primary target: 50% extension of Previous Day Range. Secondary: VWAP deviation band or trailing until pulse weakens. Dynamic adjustment based on volatility.
Clear visual confluence: VWAP (blue), Previous Day Range (boxes), Volume Pulse (highlighted), Heikin Ashi aligned arrows.
Four-step disciplined process ensuring high-quality opportunities only.
| Parameter | Value | Description |
|---|---|---|
| Volume MA Length | 20 | Base period for volume average |
| Volume Multiplier | 1.8 | Spike threshold for confirmation |
| ATR Period | 14 | Volatility reference for stops/targets |
| Risk per Opportunity | 1.5% | Capital allocation rule |
| Max Daily Opportunities | 3 | Discipline filter |